CAROL ALEXANDER is Professor of Risk Management at the ISMA Centre, the Business School of Reading University. Prior to this post, she has held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings.
Professor Alexander has edited many books, most recently 'Risk Management and Analysis: Measuring and Modelling Financial Risk' and 'New Markets and Products' (John Wiley,1998) 'Visions of Risk (FT-Prentice Hall, 2000) and Mastering Risk Volume 2 (FT-Prentice Hall, 2001). For over a decade Professor Alexander has been consulting in risk management and investment analysis, developing solutions for private and commercial clients. She is also a principal of Pennoyer Capital Management, New York. She has published a large number of papers in international academic and professional journals and further details are available
PART I: VOLATILITY AND CORRELATION ANALYSIS.
Understanding Volatility and Correlation.
Implied Volatility and Correlation.
Moving Average Models.
Forecasting Volatility and Correlation.
PART II: MODELLING THE MARKET RISK OF PORTFOLIOS.
Principal Component Analysis.
Risk Measurement in Factor Models.
Modelling Non-Normal Returns.
PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS.
Time Series Models.
Forecasting High-Frequency Data.
A1 Linear Regression.
A2 Statistical Inference.
A3 Residual Analysis.
A4 Data Problems.
A6 Maximum Likelihood Methods.